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Report NEP-ETS-2025-01-13
This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-ETS
The following items were announced in this report:
- Leo Krippner, 2024, "Applications of Vector Autoregressions in Their Scalar Autoregressive Component Form," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2024-71, Dec.
- Mohammad R. Jahan-Parvar & Charles Knipp & Pawel J. Szerszen, 2024, "Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2024-100, Dec, DOI: 10.17016/FEDS.2024.100.
- Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2024, "Nonparametric Local Projections," Working Papers, Federal Reserve Bank of Dallas, number 2414, Nov, DOI: 10.24149/wp2414.
- Matias Quiroz & Laleh Tafakori & Hans Manner, 2024, "Forecasting Realized Covariances Using HAR-Type Models," Graz Economics Papers, University of Graz, Department of Economics, number 2024-20, Dec.
- Faria, Gonçalo & Verona, Fabio, 2024, "Unlocking predictive potential: the frequency-domain approach to equity premium forecasting," Bank of Finland Research Discussion Papers, Bank of Finland, number 10/2024.
- Aßmann, Christian & Boysen-Hogrefe, Jens & Pape, Markus, 2024, "Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions," Open Access Publications from Kiel Institute for the World Economy, Kiel Institute for the World Economy, number 306605, DOI: 10.1007/s10182-023-00489-5.
- Xu, Yongdeng, 2024, "Extended multivariate EGARCH model: A model for zero†return and negative spillovers," Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section, number E2024/24, Dec.
- Faria, Gonçalo & Verona, Fabio, 2024, "Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators," Bank of Finland Research Discussion Papers, Bank of Finland, number 14/2024.
- Jean-Jacques Forneron & Zhongjun Qu, 2024, "Fitting Dynamically Misspecified Models: An Optimal Transportation Approach," Papers, arXiv.org, number 2412.20204, Dec, revised Jul 2025.
- Andrade, Philippe & Ferroni, Filippo & Melosi, Leonardo, 2024, "Higher-Order Moment Inequality Restrictions for SVARs," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 1537.
- António Rua & Junho Lee & Miguel de Carvalho & Julio Avila, 2024, "Bayesian smoothing for time-varying extremal dependence," Working Papers, Banco de Portugal, Economics and Research Department, number w202406.
- Raffaella Giacomini & Jason Lu & Katja Smetanina, 2024, "Perceived shocks and impulse responses," CeMMAP working papers, Institute for Fiscal Studies, number 21/24, Nov, DOI: 10.47004/wp.cem.2024.2124.
- Frederik Krabbe, 2024, "Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models," Papers, arXiv.org, number 2412.19555, Dec, revised Dec 2025.